Arbeitspapier
Bootstrap methods for time series
The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one's data or a model estimated from the data. The methods that are available for implementing the bootstrap and the accuracy of bootstrap estimates depend on whether the data are a random sample from a distribution or a time series. This paper is concerned with the application of the bootstrap to time-series data when one does not have a finite-dimensional parametric model that reduces the data generation process to independent random sampling. We review the methods that have been proposed for implementing the bootstrap in this situation and discuss the accuracy of these methods relative to that of first-order asymptotic approximations. We argue that methods for implementing the bootstrap with time-series data are not as well understood as methods for data that are sampled randomly from a distribution. Moreover, the performance of the bootstrap as measured by the rate of convergence of estimation errors tends to be poorer with time series than with random samples. This is an important problem for applied research because first-order asymptotic approximations are often inaccurate and misleading with time-series data and samples of the sizes encountered in applications. We conclude that there is a need for further research in the application of the bootstrap to time series, and we describe some of the important unsolved problems.
- Language
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Englisch
- Bibliographic citation
-
Series: SFB 373 Discussion Paper ; No. 2001,59
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Härdle, Wolfgang
Horowitz, Joel L.
Kreiss, Jens-Peter
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
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2001
- Handle
- URN
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urn:nbn:de:kobv:11-10050152
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Härdle, Wolfgang
- Horowitz, Joel L.
- Kreiss, Jens-Peter
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 2001
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